Consider a stock whose price follows a Geometric Brownian Motion representing the dynamics of the stock price. The initial price of the stock is $60. Assuming that the volatility of the price is 20%, the drift is 14%, the risk free rate is 0.2% and the strike price is $61, and the exercise time T = 2 months. (a) Compute the three Greeks A, I and O. (b) Simulate the price of the stock at the end of each day, for the next 60 days (= 2 months). Use this data to compute the A for the 60 days, and apply dynamic A hedging for 5 sets of simulated prices, and report the mean and variance of the cost of the hedge. Assume you are A hedging a portfolio of 100,000 call options (described before), and resources are available interest free for the hedging. Consider a stock whose price follows a Geometric Brownian Motion representing the dynamics of the stock price. The initial price of the stock is $60. Assuming that the volatility of the price is 20%, the drift is 14%, the risk free rate is 0.2% and the strike price is $61, and the exercise time T = 2 months. (a) Compute the three Greeks A, I and O. (b) Simulate the price of the stock at the end of each day, for the next 60 days (= 2 months). Use this data to compute the A for the 60 days, and apply dynamic A hedging for 5 sets of simulated prices, and report the mean and variance of the cost of the hedge. Assume you are A hedging a portfolio of 100,000 call options (described before), and resources are available interest free for the hedging